Re: st: using interactions with lags

Is it possible to use indicator variables interacted with lagged
variables using within OLS? For instance,

xi:reg Y i.race*l(0/11)*X i.year, robust

In other words, I want to interact the race dummy variable with 11
lags of the X regressor. I appear unable to do this using the
above syntax. SHould I, instead, move to generating the dummies
manually and then interacting that with the lag? In other words,
is it the -i- operator that is causing the problem?

One likely "problem" is with your notation: L(0/11)*X is not a
valid expression for the lag operator. Instead, I suspect you may
mean L(0/11).X, as in:

xi:reg Y i.race*L(0/11).X i.year, robust

See -help tsvarlist- for additional information. I do not know for
sure if Stata will accept the combination of -xi- with the lag
operator, as I do not have a suitable dataset to test it. Hope this
helps.